I think you'll find them in the
Documents\CyberLink\PowerDirector\Cache Files 01\video,
\audio and
\image folders.
Unfortunately, they are not named with the title that shows up in PD's media room - instead the file name will be
pdz followed by a long hexadecimal string and then the extension, like
pdz8665784f281a2df9355c67293d6e5705.mov
I believe that the license only allows you to use the clips for making videos directly from within PD, and that may be one reason they are not stored in a user-friendly format.